I request that the CVMFS client be changed to try all IP addresses in a round-robin proxy URL if it gets any failures, before moving on to the next proxy group. I recently changed frontier client to do this. This is especially important for supporting proxy auto config files (bug #101982) because the proxy auto config standard doesn't support a syntax to specify a list of proxy peers in a group.
If it makes it easier, I don't think it is necessary to do this if there is already a proxy group of more than one proxy separated with vertical bar. In the corresponding case in the frontier client, I did not do this; I only use all the IP addresses if a proxy URL is in a group by itself (that is, separated only by semicolons and not vertical bars).